We demonstrated a new strategy for efficient preparation of polypseudorotaxanes (PpRXs) and polyrotaxanes (PRXs) with cyclodextrin derivatives, 2,6-di-O-methyl-cyclodextrins (DM-CyDs), by utilizing the cloud points of DM-CyDs. DM-α-CyD and DM-β-CyD formed PpRXs with polyethylene glycol (PEG) and polypropylene glycol (PPG) in water at >50 °C and >35 °C, respectively, but did not at room temperature. Meanwhile, randomly methylated β-CyD (RM-β-CyD) and 2,3,6-tri-O-methyl-β-CyD (TM-β-CyD) did not form PpRX with PPG at higher temperature. The driving force of thermoresponsive formation of DM-CyD PpRXs was derived from hydrophobic interaction of methyl groups and a hydrogen bond of hydroxyl groups formed by adjacent DM-CyD molecules. Furthermore, in one pot, DM-CyD PRXs were synthesized by capping the PpRXs with bulky ends in high yields.